Cyclocius - At this point, I'm certain you've already figured out you didn't do anything wrong. I laughed when I read your description because I immediately thought: "Huh, Cyclocius is running
Pulp Fiction
."
We designed Dark Heresy with "cinematic reality" in mind - I've always felt we got the balance pretty close to dead on specifically because there are ongoing discussions between those who want combat to be a bit more lethal and those who think it is too lethal already.
Now as to what Tetragon Tanebrae said, I have a few answers.
First off, experience doesn't come cheaply in DH - when a player chooses to spend a bunch of xp on getting extra Wounds and the Talents that make them into a hard-arse, they are telling you that they want to soak up the punishment. So pour it on - feel free to beat on them regularly and see how much they can take.
Now as to your bad ass problem, Tetragon - I would go with Hallucinogen grenades. Always good for a laugh with those "difficult to kill" types. Web Pistols / Webbers can be fun, too.
The real answer though is in the nature of the opposition you present to your players. When dealing with a group of really dangerous fighters, it is useful to sometimes confront them with enemies that they can't just kill. Well connected Tech-Priests accusing them of tech-heresy, scheming priests with ironclad alibis, etc. - that is a discussion outside of "doing combat wrong" though.